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True versus spurious long memory in cryptocurrencies
Rambaccussing, Dooruj; Mazibas, Murat - In: Journal of risk and financial management : JRFM 13 (2020) 9/186, pp. 186
We test whether the selected cryptocurrencies exhibit long memory behavior in returns and volatility. We use data on … five most traded cryptocurrencies: Bitcoin, Litecoin, Ethereum, Bitcoin Cash, and XRP. Using recent tests of long memory … cryptocurrencies. The estimated memory parameters show that volatility is persistent, and when volatility is measured by log range, it …
Persistent link: https://www.econbiz.de/10012386884
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The forecasting on the orice of Bitcoin with the application of seasonal ARIMA model
Lee, Yao Xian; Chen, Chih Cheng - In: The empirical economics letters : a monthly … 18 (2019) 10, pp. 1029-1039
Persistent link: https://www.econbiz.de/10012318565
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Spectral density of Markov-switching VARMA models
Cavicchioli, Maddalena - In: Economics letters 121 (2013) 2, pp. 218-220
Persistent link: https://www.econbiz.de/10010346322
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A hypothesis test method for detecting multifractal scaling, applied to Bitcoin prices
Jiang, Chuxuan; Dev, Priya; Maller, Ross A. - In: Journal of risk and financial management : JRFM 13 (2020) 5/104, pp. 1-21
Multifractal processes reproduce some of the stylised features observed in financial time series, namely heavy tails found in asset returns distributions, and long-memory found in volatility. Multifractal scaling cannot be assumed, it should be established; however, this is not a straightforward...
Persistent link: https://www.econbiz.de/10012304977
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Forecasting cryptocurrencies under model and parameter instability
Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco - In: International journal of forecasting 35 (2019) 2, pp. 485-501
Persistent link: https://www.econbiz.de/10012300691
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Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies
Cheng, Jie - In: Empirical economics : a quarterly journal of the … 65 (2023) 2, pp. 899-924
Persistent link: https://www.econbiz.de/10014329089
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Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour
Caferra, Rocco; Morone, Andrea; Potì, Valerio - In: Economics letters 218 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013466467
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Bitcoin and market-(in)efficiency : a systematic time series approach
Bundi, Nils; Wildi, Marc - In: Digital finance : smart data analytics, investment … 1 (2019) 1/4, pp. 47-65
Persistent link: https://www.econbiz.de/10012223862
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On cointegration and cryptocurrency dynamics
Keilbar, Georg; Zhang, Yanfen - In: Digital finance : smart data analytics, investment … 3 (2021) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10012543482
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Forecasting banknote circulation during the COVID-19 pandemic using structural time series models
Bartzsch, Nikolaus; Brandi, Marco; Pastor, Raymond de; … - 2023
As part of the Eurosystem’s annual banknote production planning, the national central banks draw up forecasts estimating the volumes of national-issued banknotes in circulation for the three years ahead. As at the end of 2021, more than 80 per cent of euro banknotes in circulation (cumulated...
Persistent link: https://www.econbiz.de/10014320825